Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance
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Publication:5222158
DOI10.1137/19M1282714zbMath1433.91136arXiv2001.08344WikidataQ115525565 ScholiaQ115525565MaRDI QIDQ5222158
Virginia R. Young, Xiaoqing Liang
Publication date: 1 April 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.08344
optimal reinsuranceCramér-Lundberg risk modelstochastic Perron's methodmean-variance premium principleexponential Parisian ruin
Related Items (7)
Discounted probability of exponential parisian ruin: Diffusion approximation ⋮ Optimal per-loss reinsurance and investment to minimize the probability of drawdown ⋮ Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility ⋮ Bowley solution of a mean-variance game in insurance ⋮ Minimizing the probability of lifetime exponential Parisian ruin ⋮ Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin ⋮ Discrete-time risk models with surplus-dependent premium corrections
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